Selene

Selene, the orbiting moon of Hillys, is a planet in System 4, of which its environment consists mainly of craters, rocks and fluids. Its gravitational levels appear to be similar to that of Hillys', and is the only other planet where oxygen occurs, though no nitrogen or hydrogen is found.

On the moon, the Alpha Section stationed a transmitter to broadcast their propaganda to Hillys.

Oxygen apparently occurs on Selene, this is evident not only by the fact that Jade and companions can breathe when outside of the Beluga (even when the shield is offline) but also because sound can be heard. Sound travels through atoms (oxygen-atoms), which will vibrate and thus create sound.